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Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

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Author Info
Azhong Ye
Rob J Hyndman ()
Zinai Li

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Abstract

We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth selectors for heteroscedastic regression in one and two dimensions. We show that the local linear estimator with variable bandwidth has better goodness-of-fit properties than the local linear estimator with constant bandwidth, in the presence of heteroscedasticity.

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File URL: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2006/wp8-06.pdf
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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 8/06.

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Length: 24 pages
Date of creation: May 2006
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Handle: RePEc:msh:ebswps:2006-8

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Related research
Keywords: Heteroscedasticity; kernel smoothing; local linear regression; plug-in bandwidth; variable bandwidth.;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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References listed on IDEAS
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  1. Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June. [Downloadable!] (restricted)
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